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zjcjrd · 2020年05月14日

问一道题：NO.PZ2020042003000006 [ FRM II ]

  1. FRM II
  2. Liquidity and Treasury Risk

问题如下：

Which of the following statement is not correct?

选项：

A.

LVAR = VaR + Liquidity Cost (LC)

B.

If the bid-ask spread is constant, the liquidity cost (LC) is 0.5 × Asset value × Spread

C.

If bid–ask spreads vary substantially, the liquidity cost (LC) is 0.5 × Asset value ×(u + z×σ)

D.

If the market is likely to respond to the trade itself, an Exogenous approach is appropriate.

解释：

考点：对Transaction liquidity risk measurement的理解

答案： D选项表述错误，本题选D

解析：

正确的描述为：If the market is likely to respond to the trade itself, an endogenous approach is appropriate.

D选项前面半句什么意思？
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1 个答案

小刘_品职助教 · 2020年05月15日

同学你好，

这句话的意思就是如果市场会对交易本身产生反应，基本粗略的理解可以认为这个交易价格出现后，市场是认可的，其中包含了流动性的溢价，不用很纠结~市场有效了，就应该用内生性的方法更好:-)

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